The Method of Characteristics in Macroeconomic Modeling

The problem of identification of a macroeconomic model is considered for statistic data given at fixed instants in a time-interval. The model has the form of two ordinary differential equations depending of controlling parameters. A new approach is suggested to solve the identification problem in the framework of optimal control theory. A numerical algorithm based on characteristics of the Bellman equation is suggested to create and verify the model. Results of simulations are exposed.